Information Spillover Effect and Autoregressive Conditional Duration Models

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Synopsis

This book studies the information spillover among financial markets and explores the intraday effect and ACD models with high frequency data. This book also contributes theoretically by providing a new statistical methodology with comparative advantages for analyzing comovements between two time series. It explores this new method by testing the information spillover between the Chinese stock market and the international market, futures market and spot market. Using the high frequency data, this book investigates the intraday effect and examines which type of ACD model is particularly suited in capturing financial duration dynamics.
The book will be of invaluable use to scholars and graduate students interested in comovements among different financial markets and financial market microstructure and to investors and regulation departments looking to improve their risk management.

Book details

Series:
Routledge Advances in Risk Management
Author:
Xiangli Liu, Yanhui Liu, Yongmiao Hong, Shouyang Wang
ISBN:
9781317667650
Related ISBNs:
9781315768847, 9780415721684, 9780415721684, 9781138316874, 9781138316874
Publisher:
Taylor and Francis
Pages:
N/A
Reading age:
Not specified
Includes images:
Yes
Date of addition:
2020-02-16
Usage restrictions:
Copyright
Copyright date:
2015
Copyright by:
Xiangli Liu, Yanhui Liu, Yongmiao Hong and Shouyang Wang 
Adult content:
No
Language:
English
Categories:
Business and Finance, Nonfiction